Financial Contagion and Systemic Risk: From Theory to Applicable Macroeconomic Model
This draft working paper is to summarize theoretical contributions in the field of measuring systemic risk and contagion of financial systems. Broad theoretical framework is analyzed and empiric approach to a macroeconomic model of global banking system systemic risk and contagion is offered. The model is to use BIS locational statistics as well as national consolidated balance sheets of banking systems to provide some insight into the vulnerability of modern banking system. As to theoretical contributions, three branches of literature are analyzed: correlation-based measures, network-based measures and various systemic risk measures.
|Date of creation:||14 Jun 2012|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Billio, Monica & Caporin, Massimiliano, 2010.
"Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion,"
Computational Statistics & Data Analysis,
Elsevier, vol. 54(11), pages 2443-2458, November.
- Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, Department of Economics, University of Venice "Ca' Foscari".
- Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2002.
"Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion,"
CEPR Discussion Papers
3310, C.E.P.R. Discussion Papers.
- Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005. "'Some contagion, some interdependence': More pitfalls in tests of financial contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1177-1199, December.
- Stefanie Kleimeier & Thorsten Lehnert & Willem F. C. Verschoor, 2008. "Measuring Financial Contagion Using Time-Aligned Data: The Importance of the Speed of Transmission of Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(4), pages 493-508, 08.
- Kannan, Prakash & Kohler-Geib, Fritzi, 2009.
"The uncertainty channel of contagion,"
Policy Research Working Paper Series
4995, The World Bank.
- Nier, Erlend & Yang, Jing & Yorulmazer, Tanju & Alentorn, Amadeo, 2007.
"Network models and financial stability,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 31(6), pages 2033-2060, June.
- Mikhail Stolbov, 2014.
"International Credit Cycles: A Regional Perspective,"
Economic Studies journal,
Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 21-47.
- Stolbov, Mikhail, 2012. "International credit cycles: a regional perspective," MPRA Paper 37773, University Library of Munich, Germany.
- Ostrup, Finn & Oxelheim, Lars & Wihlborg, Clas, 2009.
"Origins and Resolution of Financial Crises; Lessons from the Current and Northern European Crises,"
Working Paper Series
796, Research Institute of Industrial Economics.
- Finn Østrup & Lars Oxelheim & Clas Wihlborg, 2009. "Origins and Resolution of Financial Crises: Lessons from the Current and Northern European Crises," Asian Economic Papers, MIT Press, vol. 8(3), pages 178-220, October.
- Giorgio Fagiolo & Javier Reyes & Stefano Schiavo, 2007. "The Evolution of the World Trade Web," LEM Papers Series 2007/17, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:40612. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.